This paper sets out an approach to priority setting in mental health services, built around programme budgeting and marginal analysis (PBMA). The paper also discusses the question of building in equity, especially the concept of vertical equity which, given the relative neglect of mental health services when resources have been allocated in the past, might serve as a mechanism for redressing the imbalance in resource allocation to the mentally ill. Beyond that the importance of eliciting community values to aid priority setting in mental health services is highlighted, particularly with respect to the principles underlying the mental health services or what one might call 'the nature of the good' that society wants from its mental health services. While it can be argued that trying to ascertain these principles or the nature of the good applies in all health services--and that is not disputed here--in mental health there is yet more need for clarification than in many other, indeed most other, health services. The need to exercise value judgments is emphasised. There is also a word of caution on the dangers of over-reliance on waiting for perfect evidence. Finally the paper considers how best to operationalise priority setting in mental health services, and perhaps make it less of a nightmare for mental health service planners than it currently seems to be.